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Central limit theorems for weighted quadratic forms of dependent processes with applications in specification testing

  • Gao, Jiti
  • Hong, Yongmiao
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In this paper, we establish some new central limit theorems for generalized U-statistics of dependent processes under some mild conditions. Such central limit theorems complement existing existing results available from both the econometrics literature and statistics literature. We then look at applications of the established results to a number of test problems in time series regression models.

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File URL: http://mpra.ub.uni-muenchen.de/11977/1/MPRA_paper_11977.pdf
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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 11977.

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Date of creation: Aug 2007
Date of revision: Dec 2007
Publication status: Published in Journal of Nonparametric Statistics 1.20(2008): pp. 61-76
Handle: RePEc:pra:mprapa:11977
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Web page: http://mpra.ub.uni-muenchen.de

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  1. V. Hjellvik & Q. Yao & D. Tjostheim, 1996. "Linearity Testing using Local Polynomial Approximation," SFB 373 Discussion Papers 1996,60, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  2. Hall, Peter, 1984. "Central limit theorem for integrated square error of multivariate nonparametric density estimators," Journal of Multivariate Analysis, Elsevier, vol. 14(1), pages 1-16, February.
  3. de Jong, Peter, 1990. "A central limit theorem for generalized multilinear forms," Journal of Multivariate Analysis, Elsevier, vol. 34(2), pages 275-289, August.
  4. Gao, Jiti & Anh, Vo, 2000. "A central limit theorem for a random quadratic form of strictly stationary processes," Statistics & Probability Letters, Elsevier, vol. 49(1), pages 69-79, August.
  5. Yongmiao Hong & Chihwa Kao, 2000. "Wavelet-Based Testing for Serial Correlation of Unknown Form in Panel Models," Center for Policy Research Working Papers 32, Center for Policy Research, Maxwell School, Syracuse University.
  6. Gao, Jiti & King, Maxwell, 2004. "Adaptive Testing In Continuous-Time Diffusion Models," Econometric Theory, Cambridge University Press, vol. 20(05), pages 844-882, October.
  7. Fan, Yanqin & Li, Qi, 1996. "Consistent Model Specification Tests: Omitted Variables and Semiparametric Functional Forms," Econometrica, Econometric Society, vol. 64(4), pages 865-90, July.
  8. Li, Qi, 1999. "Consistent model specification tests for time series econometric models," Journal of Econometrics, Elsevier, vol. 92(1), pages 101-147, September.
  9. Yongmiao Hong & Halbert White, 2005. "Asymptotic Distribution Theory for Nonparametric Entropy Measures of Serial Dependence," Econometrica, Econometric Society, vol. 73(3), pages 837-901, 05.
  10. Hong, Yongmiao & White, Halbert, 1995. "Consistent Specification Testing via Nonparametric Series Regression," Econometrica, Econometric Society, vol. 63(5), pages 1133-59, September.
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